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1314521Hao · 2024年01月20日

No.PZ2018070201000094 问

NO.PZ2018070201000094

问题如下：

Tim, an analyst of an investment company forecasts the return and deviation of below securities. Based on these information, which statement is most correct:

选项：

A.

Security A has the least amount of market risk.

B.

Security B has the least amount of market risk.

C.

Security C has the least amount of market risk.

解释：

B is correct.

The beta value of security A is $= \frac{ρ_{A m} δ_{A}}{δ_{m}} =$ 1.4

The beta value of security B is $= \frac{ρ_{B m} δ_{B}}{δ_{m}} =$ 1.33

The beta value of security C is $= \frac{ρ_{C m} δ_{C}}{δ_{m}} =$ 1.5

Security B has the lowest beta value, therefore, it has the lowest amount of market risk.

Market Risk 难道不应该指的是系统性风险吗？比如加息等。我看了看别的同学问的问题，我觉得助教回答不是很靠谱，“这道题的市场风险就是非系统性风险”。是教材里面明确这么写的吗（Market Risk = B)？如果是的话那我会改变我的立场，如果教材里没有明确写，我会觉得加息等行为是市场风险。

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1314521Hao · 2024年01月20日

理解偏差了， Market risk就是Beta..... 没事了没事了，不用回答我了谢谢

1 个答案

Kiko_品职助教 · 2024年01月22日

嗨，爱思考的PZer你好：

好的。加油

----------------------------------------------
努力的时光都是限量版，加油！

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